Custom OIS Dates and Payment Lag in QuantLib

Summary

The document asks how to create an overnight indexed swap with a specified maturity date while retaining a payment lag in QuantLib. It contrasts a convenience builder that accepts a tenor and payment-lag setting with direct construction of the swap, which allows more control over dates but raises the question of how to set the lag.

The answer recommends building a Schedule to customize the swap dates and then passing it to OvernightIndexedSwap. It notes that the swap constructor accepts a payment-lag argument and that the argument is exposed in the Python interface. This is a concise API usage pointer rather than a worked example: it does not show the constructor call, specify all schedule conventions, or discuss how date choices affect valuation.

Key ideas

• A Schedule can be used to define custom dates for an overnight indexed swap.
• The OvernightIndexedSwap constructor accepts a payment lag.
• The payment-lag parameter is available through QuantLib’s Python bindings.
• The exchange does not provide a complete construction example or valuation discussion.

Tags

# PaymentLag in ql.OvernightIndexedSwap()


# PaymentLag in ql.OvernightIndexedSwap()












How do I use maturity date of an ois instead of its tenor, I am using the following QuantLib function:

ois = ql.MakeOIS(ql.Period('3Y'), index, 0.1, nominal=1000000, settlementDays=0, effectiveDate=ql.Date(28,6,2024), paymentLag=2, paymentAdjustmentConvention=ql.ModifiedFollowing)

Using the following function takes away the ability of paymentLag:

ql.OvernightIndexedSwap()

## Answer by user35980 (score 1)

https://quant.stackexchange.com/a/83812

u can use the `Schedule` class together with `OvernightIndexedSwap` to customize the dates of your OIS.

and u can specify a payment lag (it's the eight argument), see: https://www.quantlib.org/reference/class_quant_lib_1_1_overnight_indexed_swap.html

and it's exported to python, see: https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/swap.i

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.